Re: st: random effects, heteroskedasticity & autocorrelation

Thanks for your reply. I have looked at that, as it happened to me in
another regression. This time though, the model doesn't seem to have
degenerated into a pooled OLS model, which really puzzles me. I think I
might have to look at the set-up again.

Dear all,
I have two questions with regard to a random effects model. How do I
test for heteroskedasticity and autocorrelation in such a model? I know
I can use xtgls if there is heteroskedasticity and / or
autocorrelation, but I don't know how to detect it.
Moreover -and this might be a very silly question- if I have a random
effects model and the Hausmann test tells me that the random effects is
better than fixed effects, how come that the results improve when I
include country dummies in the random effects regression (the countries
would have been the fixed effects)?

With respect to your second question, I think you might find that by
including the country dummies, your random effects estimation has
degenerated into pooled OLS. You can tell by checking whether the
sigma_u that is reported by xtreg is zero.
Hope this helps.
--Mark